Forecasting vector autoregressions with mixed roots in the vicinity of unity
Year of publication: |
2023
|
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Authors: | Tu, Yundong ; Xie, Xinling |
Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 1532-4168, ZDB-ID 2041746-9. - Vol. 42.2023, 7, p. 556-585
|
Subject: | Bagging | mallows criterion | model averaging | model selection | pretest | Prognoseverfahren | Forecasting model | Modellierung | Scientific modelling | VAR-Modell | VAR model | Schätztheorie | Estimation theory | Bayes-Statistik | Bayesian inference |
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